Daily QuoteBar consolidator with different close time? by Tony Shacklock

Tony Shacklock

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My Forex strategies work on days that close when the New York markets close at 17:00 New York time, but the data comes with daily roll-overs either at 00:00 UTC (19:00 EST) or 00:00 EST.

I'd like to create a custom consolidator to make QuoteBars every day at 17:00 New York time.

I've tried the approach suggested in this post, but there are things missing.

It doesn't build when I wire the custom consolidator to my data handler,
I guessed what WorkingData should get.
I don't know what Scan() should do.

I'd appreciate any suggestions.

I thought an alternative would be to clone and modify the QuoteBarConsolidator class. Can I get that somewhere?

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5 Comments

Tony Shacklock

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Accepted Answer

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Tony Shacklock

1.6k ,

I have created TimeOfDayConsolidator and QuoteBarTimeOfDayConsolidator classes - cloned and modified from PeriodCountConsolidatorBase and QuoteBarConsolidator classes.

I feel a bit out of my depth, so I'd appreciate someone looking over them to see if I've got it right. They test out fine with Oanda and FXCM data, but there are probably situations that I haven't accounted for.

Any comments appreciated.

Second question: I've created the two consolidator classes in separate files. How to I make them available to other projects in the Web IDE?

Jack Simonson

This looks great Tony, it's definitely something you would want to make available across multiple algorithms. You can create custom libraries in the Algorithm Lab and access those from different algorithms. If you look at the side-bar in the terminal, there is a section beneath the files in your current project where you can create custom libraries. Just click the "Add New Library" button! You can also see the answer to a similar question that was posted here.

Tony Shacklock

1.6k ,

Thanks, Jack.

The link to the similar question doesn't work for me. Would you post it again, please?

Cheers

Tony

Jack Simonson

Try clicking this link. Hopefully, this one works.

Douglas Stridsberg

4.8k ,

This is useful - however I'd like to point one thing. The documentation mentions the passing of a specified time of day in the data timezone. In reality, it references the exchange timezone. One example is Oanda forex where passing TimeSpan.FromHours(0) to the consolidator gives bars closing at midnight New York (exchange) rather than midnight UTC (data).

Tony Shacklock

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